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Post-LIBOR Settle Update, New 3M High

US EURODLR FUTURES
  • Lead quarterly EDH2 under pressure (-0.010 at 99.595) but off overnight lows (99.58) after latest 3M LIBOR climbs to highest level since mid-Jan'21: +0.00215 to 0.23829% (+0.02701 total last wk), underscoring rate hike expectations for March (over 85%).
  • Dealers pulling forward liftoff expectations (see JPM bullet 0651ET), more to follow.
  • Green Dec'24 futures still holding modest inversion out to Blue Dec'25 implying policy overshoot and/or uncertainty over rate hikes again.

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